Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
The market impact on shares entering or leaving JSE indices
Dissertation (MBA)--University of Pretoria, 2012.
Saved in:
| Other Authors: | |
|---|---|
| Format: | Thesis |
| Published: |
University of Pretoria
2013
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613647985967104 |
|---|---|
| access_status_str | Open Access |
| author2 | Ward, Mike |
| author_browse | Ward, Mike |
| author_facet | Ward, Mike |
| collection | Thesis |
| dc_rights_str_mv | © 2011, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MBA)--University of Pretoria, 2012. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/26517 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:39:29.036Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/26517 The market impact on shares entering or leaving JSE indices Ward, Mike ichelp@gibs.co.za Miller, Craig Elie UCTD Index revisions Ftse Jse indices Price effects Event study Dissertation (MBA)--University of Pretoria, 2012. This study attempts to measure the effects on the share price of companies entering and exiting four FTSE/JSE indices; the J200, J210, J213 and J260. While results showed only weak statistical significance, systematic patterns were observed during the event window. Share prices of companies entering and exiting value weighted indices responded consistently with the investor awareness hypothesis. Share prices of companies entering and exiting indices weighted by fundamental factors responded consistently with the information hypothesis. The cumulative average abnormal returns (CAARs) were permanent and did not reverse within the first 200 days after the index change for all indices. Abnormal returns were calculated by using the market model and a one factor CAPM model. The market model was a superior benchmark in this study. This study found that the CAARs for index changes became positive only after the date of the index change. This implies that either the effect of passive index funds on the JSE is not significant, or that passive funds are allowed to incur tracking errors in order to trade strategically to secure the best price for a reconstituted portfolio. This conclusion is supported by the fact that there was no observable change in the index premium over time. The findings of this study may indicate market inefficiency, which means that arbitrage opportunities may exist around index changes. Gordon Institute of Business Science (GIBS) unrestricted 2013-09-07T06:25:17Z 2012-09-27 2013-09-07T06:25:17Z 2012-03-08 2012-09-27 2012-07-21 Dissertation Miller, CE 2011, The market impact on shares entering or leaving JSE indices, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/26517 > F/12/4/715/zw http://hdl.handle.net/2263/26517 http://upetd.up.ac.za/thesis/available/etd-07212012-181347/ © 2011, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Index revisions Ftse Jse indices Price effects Event study The market impact on shares entering or leaving JSE indices |
| title | The market impact on shares entering or leaving JSE indices |
| title_full | The market impact on shares entering or leaving JSE indices |
| title_fullStr | The market impact on shares entering or leaving JSE indices |
| title_full_unstemmed | The market impact on shares entering or leaving JSE indices |
| title_short | The market impact on shares entering or leaving JSE indices |
| title_sort | market impact on shares entering or leaving jse indices |
| topic | UCTD Index revisions Ftse Jse indices Price effects Event study |
| url | http://hdl.handle.net/2263/26517 http://upetd.up.ac.za/thesis/available/etd-07212012-181347/ |